dc.contributor.author |
Kyriacou, Maria |
|
dc.contributor.author |
Phillips, Peter CB |
|
dc.contributor.author |
Rossi, Francesca |
|
dc.date.accessioned |
2022-01-26T02:05:39Z |
|
dc.date.available |
2022-01-26T02:05:39Z |
|
dc.date.issued |
2021-9-22 |
|
dc.identifier.citation |
Econometric Theory 1-39 22 Sep 2021 |
|
dc.identifier.issn |
0266-4666 |
|
dc.identifier.uri |
https://hdl.handle.net/2292/58067 |
|
dc.description.abstract |
<jats:p>Spatial units typically vary over many of their characteristics, introducing potential unobserved heterogeneity which invalidates commonly used homoskedasticity conditions. In the presence of unobserved heteroskedasticity, methods based on the quasi-likelihood function generally produce inconsistent estimates of both the spatial parameter and the coefficients of the exogenous regressors. A robust generalized method of moments estimator as well as a modified likelihood method have been proposed in the literature to address this issue. The present paper constructs an alternative indirect inference (II) approach which relies on a simple ordinary least squares procedure as its starting point. Heteroskedasticity is accommodated by utilizing a new version of continuous updating that is applied within the II procedure to take account of the parameterization of the variance–covariance matrix of the disturbances. Finite-sample performance of the new estimator is assessed in a Monte Carlo study. The approach is implemented in an empirical application to house price data in the Boston area, where it is found that spatial effects in house price determination are much more significant under robustification to heterogeneity in the equation errors.</jats:p> |
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dc.language |
en |
|
dc.publisher |
Cambridge University Press (CUP) |
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dc.relation.ispartofseries |
Econometric Theory |
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dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. |
|
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
|
dc.rights.uri |
https://creativecommons.org/licenses/by/4.0/ |
|
dc.subject |
0104 Statistics |
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dc.subject |
1403 Econometrics |
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dc.title |
CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS |
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dc.type |
Journal Article |
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dc.identifier.doi |
10.1017/s0266466621000384 |
|
pubs.begin-page |
1 |
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dc.date.updated |
2021-12-03T02:03:19Z |
|
dc.rights.holder |
Copyright: The author |
en |
pubs.end-page |
39 |
|
pubs.publication-status |
Published online |
|
dc.rights.accessrights |
http://purl.org/eprint/accessRights/OpenAccess |
en |
pubs.subtype |
Journal Article |
|
pubs.elements-id |
868714 |
|
dc.identifier.eissn |
1469-4360 |
|
pubs.online-publication-date |
2021-9-22 |
|